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Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series

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  • Chambers, Marcus J.

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  • Chambers, Marcus J., 1996. "Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series," Economics Letters, Elsevier, vol. 50(1), pages 19-24, January.
    • Handle: RePEc:eee:ecolet:v:50:y:1996:i:1:p:19-24
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    References listed on IDEAS

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    1. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    2. Perron, P, 1993. "Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]," Econometrica, Econometric Society, vol. 61(1), pages 248-249, January.
    3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    4. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
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    1. Mármol, Francesc, 1997. "Fractional integration versus trend stationary in time series analysis," DES - Working Papers. Statistics and Econometrics. WS 10498, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.

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